Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0000
Annualized Std Dev 0.1365
Annualized Sharpe (Rf=0%) 0.0003

Row

Daily Return Statistics

Close
Observations 4859.0000
NAs 1.0000
Minimum -0.0988
Quartile 1 -0.0037
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0040
Maximum 0.1018
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0086
Skewness -0.0903
Kurtosis 19.5243

Downside Risk

Close
Semi Deviation 0.0062
Gain Deviation 0.0063
Loss Deviation 0.0069
Downside Deviation (MAR=210%) 0.0114
Downside Deviation (Rf=0%) 0.0062
Downside Deviation (0%) 0.0062
Maximum Drawdown 0.4581
Historical VaR (95%) -0.0119
Historical ES (95%) -0.0206
Modified VaR (95%) -0.0109
Modified ES (95%) -0.0109
From Trough To Depth Length To Trough Recovery
2003-06-12 2008-11-20 2012-08-31 -0.4581 2325 1373 952
2012-11-13 2020-03-19 2020-08-07 -0.2637 1947 1849 98
2001-12-28 2002-03-26 2003-05-29 -0.1374 356 60 296
2021-01-26 2021-03-19 NA -0.0925 39 38 NA
2020-08-10 2020-10-28 2020-11-30 -0.0531 79 57 22

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2001 NA NA NA NA NA NA NA NA NA NA -0.1 0 -0.1
2002 0.7 2.2 1.6 -0.4 -0.4 -0.7 1.3 -0.1 -0.3 1.2 -0.4 1.5 6.3
2003 -0.6 -0.5 0.5 0.4 0.3 -0.1 -0.4 0.6 0.9 0.1 -0.3 0.4 1.4
2004 0.7 0.1 0.3 0.4 0.6 0.6 0.1 0.9 -0.6 -0.1 -0.1 0.6 3.7
2005 -0.4 -0.5 1.3 0.6 0.9 0.8 0.7 -0.5 0.4 1.2 0.1 -0.3 4.3
2006 0.1 0.2 -0.5 0.9 0.5 0.7 0.5 1.7 -0.1 1.2 0 -0.5 4.7
2007 -0.5 -1.1 -0.2 0.2 -0.3 0.1 -1.6 -0.2 0.8 0.1 1.5 1 -0.4
2008 -0.4 -0.3 0.4 0.4 -0.4 -0.3 0.5 -0.1 1.1 -2.1 1.3 4.2 4.3
2009 -0.6 -1.5 1.9 0.5 0.8 0.5 0.9 0.8 -0.3 -0.6 -0.1 0 2.4
2010 0.6 0 0.2 0.6 -1 -0.2 0.2 -0.2 -0.2 -0.6 0.7 1.4 1.5
2011 0.7 -0.2 1 0.7 0.9 0.8 1.3 0.7 -0.2 1.2 -1.3 0 5.5
2012 0.6 0.1 -1 0.7 0.3 0.1 -0.1 0.9 1.2 0.5 -1.6 -0.7 1.1
2013 0.7 0.3 -0.5 0.7 -1.6 -0.5 -0.5 -0.6 0 -0.1 0.2 -1.3 -3.2
2014 -0.2 -0.1 0.1 0.7 0.3 -0.6 -0.1 0 0.2 0.7 0.3 -1.2 0.1
2015 0.6 -0.2 -0.1 -0.2 -0.2 0.2 0.5 0.2 -0.5 0.4 0.9 0.3 1.9
2016 0.7 0.7 0.2 0.2 1.2 0.1 -0.3 0 -0.2 -0.4 -0.8 0.5 2
2017 -0.4 -0.1 0.2 -0.1 0.1 0.2 0.4 0.4 0.3 -0.1 -0.4 0.4 0.8
2018 -0.1 -0.5 0.5 -0.2 0.1 -0.1 -0.2 0.1 0.5 -0.2 0 0.7 0.7
2019 0.2 -0.5 0.4 0.1 0.7 0.4 1.1 -0.7 -0.2 0.1 0.2 -0.3 1.4
2020 -0.3 -1.9 0.8 0.6 0.4 -0.5 0.5 1 -0.1 0.8 -0.4 1.4 2.3
2021 0.8 0.4 -0.5 NA NA NA NA NA NA NA NA NA 0.7

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2001-11-28  15   SPY    113. -0.0181 -0.0127    0.0548  -0.028    -0.163       NA       NA <NA>     NA    NA       NA
2 2001-11-29  15.0 SPY    115.  0.0135  0.0073    0.082   -0.0349   -0.131       NA       NA <NA>     NA    NA       NA
3 2001-11-30  15   SPY    114. -0.0071 -0.0141    0.078   -0.036    -0.154       NA       NA <NA>     NA    NA       NA
4 2001-12-03  15.0 SPY    113. -0.006  -0.0221    0.0448  -0.0275   -0.167       NA       NA <NA>     NA    NA       NA
5 2001-12-04  15.0 SPY    115.  0.0169 -0.00120   0.0553  -0.0022   -0.138       NA       NA <NA>     NA    NA       NA
6 2001-12-05  15.0 SPY    117.  0.0183  0.0358    0.0607   0.036    -0.120       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart